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A stable systemic risk ranking in China’s banking sector: Based on principal component analysis
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 2016CoVaR2,395 cited
  • 2005Does financial liberalization spur growth?2,011 cited
  • 2016Measuring Systemic Risk1,846 cited
  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
  • 2011Systemic risk in banking ecosystems1,476 cited
  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR658 cited
  • 2008Leverage Cycles and the Anxious Economy647 cited
  • 2009Global market integration: An alternative measure and its application☆621 cited
  • 2015Bank size, capital, and systemic risk: Some international evidence591 cited
  • 2013Procyclical Leverage and Value-at-Risk581 cited
  • 2016Bank Leverage and Monetary Policy's Risk‐Taking Channel: Evidence from the United States484 cited
  • 2012Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?439 cited
  • 2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles

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Cited by

  • 2021Shifting balances of systemic risk in the Chinese banking sector: Determinants and trends21 cited
  • 2018Proposal method for the classification of industrial accident scenarios based on the improved principal components analysis (improved PCA)9 cited
  • 2019Using Fuzzy-Improved Principal Component Analysis (PCA-IF) for Ranking of Major Accident Scenarios8 cited
  • 2019PCA-I and AHP Methods: Unavoidable Arguments in Accident Scenario Classification6 cited